Estimating Geweke’s (1982) Measure of Instantaneous Feedback
Stata Journal, Vol. 13, No 1, pp. 136-140, 2013
5 Pages Posted: 15 Sep 2011 Last revised: 29 Aug 2013
Date Written: August 13, 2012
Abstract
This note describes the gwke82 program, which implements instantaneous feedback measure for two time series following Geweke (1982).
Keywords: Geweke, Granger, Causality, VAR, Time Series, Instantaneous Feedback
JEL Classification: C1, C13, C3
Suggested Citation: Suggested Citation
Dicle, Mehmet F. and Levendis, John, Estimating Geweke’s (1982) Measure of Instantaneous Feedback (August 13, 2012). Stata Journal, Vol. 13, No 1, pp. 136-140, 2013. Available at SSRN: https://ssrn.com/abstract=1927519 or http://dx.doi.org/10.2139/ssrn.1927519
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